| Summary: | 碩士 === 元智大學 === 管理研究所 === 94 === Nowadays the financial environment and managing risks are getting more complicate. Therefore, Basel Committee on Banking Supervision released the New Basel Capital Accord on July, 2004 in order to improve the current Capital Accord, and encourage banks to enhance risk management. The content of the New Accord includes: 1.The basic framework of the New Accord is consist of three pillars-minimum capital requirements, supervisory review process, and market disciplines. 2. Adding the capital charge of operational risk. 3. Revising and adding methods for capital charges of credit risk and operational risk; allowing banks to use internal risk models to charge the credit risk capital besides using the standardized approach; Setting guidelines for credit risk mitigation and securitization. The Purposes of these actions are to improve banks’ measuring methods of risks and controlling skills. Hence, banks have ability to use capital as a buffer when losses happen. Furthermore, the development of the financial system and the competition of the market can be improved.
Financial Supervisory Commission, Executive Yuan has decided that Taiwan will implement the New Basel Capital Accord officially in the end of year 2006.This implementation will have big impact to our banking industry. After studying the New Basel Capital Accord and corporate loan practices of Taiwan government-owned banks, I have the following proposal:
1. Actively training bank-owned credit risk managers to build internal models.
2. Build data warehouse for internal models.
3. Put efforts on developing the internal models. Banks should enhance the ability of management to lower credit risks and increase their competitive abilities. The cost of building internal models is huge, so banks should consider cooperating with other banks to build models together. They can build “basic model” together first, and then readjust their difference individually. Therefore, banks can save their cost and still keep their own differentiations.
4. Adjusting the structure of loan for customers, and put capital cost into consideration for pricing, instead of decreasing interest rate.
5. Using CRM (credit risk mitigation) techniques to lower the risk weights of risky assets, and raising the percentage of service fee in the business revenue to decrease the capital charge and lower credit risk.
Key words:
New Basel Capital Accord requirements
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